Document Type	Master's Dissertation
Author	Magwegwe, Frank Mashoko
URN	etd-07222005-123437
Document Title	Modelling default-risky bonds
Degree	MSc (Mathematics of Finance)
Department	Mathematics and Applied Mathematics
Supervisor	Advisor Name Title Prof B Swart
Keywords	Risk assessment computer simulation
Date	2003-04-01
Availability	unrestricted
Abstract In this dissertation, we examine current models used to value default-risky bonds. These models include both the structural and the reduced-form approaches. We begin by examining various issues involved in modelling credit risk and pricing credit derivatives. We then explore the various dimensions of structural models and reduced-form models and we provide an overview of four models presented in the literature on credit risk modelling. Both the theoretical and empirical research on default-risky bond valuation is summarized. Finally, we make suggestions for improving on the credit risk models discussed.
Files	Filename       Size       Approximate Download Time (Hours:Minutes:Seconds)     28.8 Modem   56K Modem   ISDN (64 Kb)   ISDN (128 Kb)   Higher-speed Access    00front.pdf 752.35 Kb 00:03:28 00:01:47 00:01:34 00:00:47 00:00:04   01chapter1.pdf 814.20 Kb 00:03:46 00:01:56 00:01:41 00:00:50 00:00:04   02chapter2.pdf 797.82 Kb 00:03:41 00:01:53 00:01:39 00:00:49 00:00:04   03chapter3.pdf 1.08 Mb 00:04:59 00:02:33 00:02:14 00:01:07 00:00:05   04chapter4.pdf 1.45 Mb 00:06:42 00:03:27 00:03:01 00:01:30 00:00:07   05chapter5.pdf 1.21 Mb 00:05:36 00:02:52 00:02:31 00:01:15 00:00:06   06chapters6-7.pdf 1.11 Mb 00:05:07 00:02:38 00:02:18 00:01:09 00:00:05   07back.pdf 915.23 Kb 00:04:14 00:02:10 00:01:54 00:00:57 00:00:04